Don't open the pod as soon as it dries. Place the dried pods somewhere dry and "forget" about them. The pods will start to split lengthwise when the seeds are ready.

Note to self!

Your seed saving technique is probably fine. Waiting until the pods split will certainly remove all question there. Okra seed is just kind of pain to germinate, even down south. Okra likes it warm. Really warm. 95 degree soil temps are ideal, but you might miss half the growing season if you wait that long. You can start your seeds indoors with supplemental heat, but make sure to use peat pots as okra doesn't like its roots disturbed. Or you can just wait as long as you can to plant, and then plant lots of seed as insurance against your soil being too cold. If you're saving okra seeds, you're probably swimming in them. I plant a seed every half inch, no joke. It's still easy to thin them out even if every one of those suckers comes up. :-)

We have always soaks Okra seeds over night in fact sometimes we even let them start to sprout before planting them.